Font Size: a A A

A Study On The Relation Between Quick-enlarged Trading Volume And Return Rate In Chinese Stock Market

Posted on:2020-04-03Degree:MasterType:Thesis
Country:ChinaCandidate:X Y ShiFull Text:PDF
GTID:2439330575976099Subject:Mathematics
Abstract/Summary:PDF Full Text Request
Volume plays a very important role in the rise and fall of stock prices.It not only reflects the supply and demand of the stock market,but also predicts the trend of stock prices and affects the return of investors.Therefore,yield and trading volume have always been hot topics in the financial field,and relevant research conclusions have also been applied to major financial and economic fields.In academic circles,there are several mature theoretical models about the relationship between market price and trading volume:information theory model,transaction theory model,concept diffusion model,false agency hypothesis and information misjudgment hypothesis.Yield and trading volume have always been hot topics in the financial field,and relevant research conclusions have also been applied to major financial and economic fields.On the basis of previous studies,this paper firstly makes an empirical analysis of the dynamic relationship between stock turnover and stock return rate in Chinese stock market.It is found that in Chinese stock market,the relationship between quantity and price is stable,and there is a two-way Granger linear causality between return rate and trading volume.Then,a further study is conducted on the stocks selected from the rapidly enlarged trading volume in the market,and it is found that the rapidly enlarged trading volume will increase the later stock price fluctuations.There are six chapters in the whole article.The first chapter is the introduction,introducing the research background and value of the subject,the research results of the current scholars and the innovation and defects of the subject.Chapter two is the basic introduction of the relationship between quantity and price.In chapter 3,the author preliminarily tests the stationarity and causality of the relationship between quantity and price,and studies the overall relationship between quantity and price through descriptive statistics and empirical analysis of sample data,and preliminarily obtains the dynamic relationship between them.In the fourth chapter,GARCH(1,1)model is used to verify the quantity-price relationship.In chapter 5,specific research is conducted on the volume and return rate of rapid amplification.Stocks with the characteristics of rapid amplification in volume are selected to study the volatility of the stock price after rapid amplification in volume,analyze whether the rapid amplification in volume has influence on the stock price,and propose some investment strategies with reference value.The sixth chapter is the conclusion part,which summarizes the research of the whole paper and draws a conclusion:in Chinese stock market,there is a causal relationship between the trading volume and the price sequence,and there is a significant aggregation and continuity of the volatility of the yield rate.After the rapid amplification of trading volume,investment opportunities are mainly concentrated in the short-term decline of stock prices and the process of returning again.The innovation of this paper lies in that,firstly,the data selection is relatively new.The data of Shanghai composite index and shenzhen composite index in recent six years are selected to better reflect the current stock market trading volume and price relationship.Secondly,From the perspective of"quick enlargement of volume",the research angle is relatively new,and an example argument is given to identify the result.Thirdly,in the analysis of individual stocks,in order to eliminate the influence of different stocks of different stocks,the turnover rate is used instead of the trading volume index.Fourth,the appropriate function is selected for the yield,the time of buying and selling,and the deviation of the stock price.The indicators such as the amplitude are counted,and the empirical results are visually verified by observing a large number of K-line diagrams.The shortcomings of this paper are as follows.Firstly,the data of 6 years are selected in this paper.The data samples are limited and there may be testing errors.Secondly,in order to facilitate the statistics,a simple quantitative statistical method is used to process the data.Finally,different parameter values can be selected for the reference days before and after the rapid amplification of trading volume,which may obtain better test results.
Keywords/Search Tags:volume price relationship, granger causality test, rapid amplification of trading volume, volatility
PDF Full Text Request
Related items